​The EBA outlines the medium to long term objectives of its interest rate risk in the banking book Heatmap

​The European Banking Authority (EBA) today published a Report on the medium- to long term objectives of its interest rate risk in the banking book (IRRBB) Heatmap, including key observations and recommendations for institutions and supervisors. ​

In January 2024, the EBA published its Heatmap following the IRRBB scrutiny, setting out a roadmap for IRRBB monitoring across short- medium- and long-term areas of focus. 

Today’s Report completes the medium to long term milestones defined in the IRRBB Heatmap and builds on the guidance provided during the first phase of the examination, which was reflected in the first IRRBB Heatmap implementation report on the short to medium term objectives, published in February 2025.

The present publication also provides an analytical review and presents observations and recommendations in several areas, which are designed to inform supervisory dialogue and support institutions’ practices. All recommendations should be applied in a proportionate manner, reflecting each institution’s size, complexity, risk profile, and business model. Importantly, the Report does not introduce new regulatory requirements. 

Key areas of focus

I. Supervisory outliers test (SOT) analysis. Results suggest a gradual adjustment of banks’ risk management practices to the new interest rate environment. The number of outliers has improved for both metrics, while changes in Economic Value of Equity (ΔEVE) and Net Interest Income (ΔNII) continue to show asymmetrical impacts.

II. Monitoring of the 5-year cap. The 5-year cap continues to serve as a harmonising benchmark, with limited impact observed so far. The EBA recommends that any deviations from this supervisory default be approved by supervisors, in line with Q&A 2023_6807 and disclosed under Pillar 3.

III. Commercial margin modelling. Constant-spread modelling remains widely used across most products except for non-maturing deposits (NMDs) due to their behavioural features. Guidance applicable to NMDs should only be extended to products where behavioural characteristics are material.

IV. Credit Spread Risk in the Banking Book (CSRBB) perimeter. Current practices remain heterogeneous. Institutions should work towards for a consistent perimeter across both EVE and NII metrics and avoid excluding instruments ex-ante.

V. Hedging strategies. Interest Rate Swap (IRS) continues to be the principal derivative instrument used to mitigate IRRBB exposures, particularly in cases of SOT breaches for ΔEVE. Hedge designation should align with product characteristics, economic-hedging frameworks must be well-governed, and effectiveness should be evidenced through regular back-testing and documentation.

Legal basis, background, and next steps

1. The regulatory framework on IRRBB has been strengthened through the publication in the Official Journal of:

• Commission Delegated Regulation (EU) 2024/856 (RTS on SOT), 

• Commission Delegated Regulation (EU) 2024/857 (RTS on SA) on 24 April 2024, 
  as well as

• Commission Implementing Regulation (EU) 2024/855 amending the ITS on reporting, published on 15 March 2024.

2. The latest versions of the EBA Guidelines on IRRBB and CSRBB have been fully applicable across the EU since 31 December 2023.

3. Ongoing monitoring of IRRBB implementation remains an integral part of the EBA’s supervisory responsibilities, with the objective of ensuring consistent application of EU law and promoting common supervisory approaches and practices.